This page provides links to example programs for Analysis of Financial Time Series, 2nd Ed., by Ruey Tsay (2005, Wiley).
Use the menu below to view the examples from a different textbook:
The Zip file listed first in the table below includes all the sample programs, data files (when available), and, in some cases, files containing RATS procedures used by the examples. If you want to actually run any of the examples, you should download the Zip file.
If you prefer just to view the code for a particular example, just click on the example name (the files are referenced by page number). Again, if you actually want to run these, you should download the zip file listed first to get the required data and procedure files.
Note that all of the textbook example, data, and procedure files currently available on our website are also included on the CD with the current release of the RATS software.
| File Name | Description |
| tsay.zip | Zip file with all programs, data, procedure files |
| tsay_firsted.zip | Zip file with first edition programs |
| tsay_firstpre610.zip | Zip file with first edition files (pre Version 6.10) |
| tsay_pre700.zip | Zip file with older versions of files (pre Version 7.0) |
| tsayp011.prg | Graphics examples |
| tsayp018.prg | Graphics examples |
| tsayp019.prg | Kernel density estimation |
| tsayp028.prg | Graphing autocorrelations |
| tsayp038.prg | AR models, analysis of roots |
| tsayp041.prg | AR models |
| tsayp053.prg | MA order |
| tsayp060.prg | ARMA models |
| tsayp070.prg | Unit-root test |
| tsayp071.prg | Unit-root test |
| tsayp073.prg | Seasonal differencing |
| tsayp080.prg | Principal components factor model |
| tsayp099.prg | Graphing volatility statistics |
| tsayp103.prg | Graphing volatility statistics |
| tsayp109.prg | ARCH model |
| tsayp113.prg | ARCH model |
| tsayp116.prg | ARCH and GARCH models |
| tsayp126.prg | EGARCH model |
| tsayp132.prg | CHARMA model |
| tsayp137.prg | GARCH with exogenous volatility variables |
| tsayp157.prg | Bilinear model |
| tsayp164.prg | STAR model |
| tsayp180.prg | Neural network |
| tsayp181.prg | Neural network |
| tsayp194.prg | Nonlinear AR models |
| tsayp212.prg | Tick data |
| tsayp215.prg | Tick data |
| tsayp223.prg | Ordered probit model |
| tsayp234.prg | ACD models |
| tsayp236.prg | ACD models |
| tsayp259.prg | Geometric Brownian Motion |
| tsayp260.prg | Geometric Brownian Motion |
| tsayp266.prg | Black-Scholes |
| tsayp269.prg | Black-Scholes |
| tsayp292.prg | Value at Risk (VaR) using GARCH |
| tsayp295.prg | Value at Risk (VaR) using GARCH |
| tsayp298.prg | Value at Risk (VaR) using GARCH, multi-step |
| tsayp299.prg | Value at Risk (VaR) using quantiles |
| tsayp300.prg | Value at Risk (VaR) using quantiles |
| tsayp307.prg | Generalized Extreme Value-tail index estimation |
| tsayp313.prg | Value at Risk (VaR) using GEV |
| tsayp323.prg | Value at Risk (VaR) using GEV, GPD |
| tsayp330.prg | Value at Risk (VaR) using GEV with explanatory variables |
| tsayp343.prg | Cross correlation tables |
| tsayp345.prg | Cross correlation tables |
| tsayp356.prg | Vector autoregression (VAR) |
| tsayp365.prg | Vector ARMA model |
| tsayp373.prg | Vector ARMA model |
| tsayp385.prg | Vector Error Correction model (VECM) |
| tsayp392.prg | Threshold cointegration model |
| tsayp408.prg | Single factor return model |
| tsayp412.prg | Multiple (macroeconomic) factor model |
| tsayp416.prg | BARRA factor model |
| tsayp423.prg | Principal components factor model |
| tsayp430.prg | Maximum likelihood factor model |
| tsayp431.prg | Maximum likelihood factor model |
| tsayp433.prg | Maximum likelihood factor model |
| tsayp437.prg | Asymptotic principal components model |
| tsayp445.prg | MV-GARCH (EWMA) |
| tsayp449.prg | MV-GARCH (DVEC) |
| tsayp452.prg | MV-GARCH (BEKK) |
| tsayp460.prg | MV-GARCH (CC) |
| tsayp462.prg | MV-GARCH (time varying correlations) |
| tsayp472.prg | MV-GARCH (Cholesky factor model) |
| tsayp478.prg | MV-GARCH (principal factors) |
| tsayp481.prg | MV-GARCH VaR calculations |
| tsayp492.prg | State-space model (local trend) |
| tsayp510.prg | State-space model (time varying CAPM) |
| tsayp533.prg | State-space model (time varying CAPM) |
| tsayp535.prg | State-space model (unobservable components) |
| tsayp556.prg | Gibbs sampling (AR regression model) |
| tsayp564.prg | Gibbs sampling (outlier detection) |
| tsayp569.prg | Gibbs sampling (stochastic volatility) |
| tsayp573.prg | Gibbs sampling (multivariate SV) Note: not yet available |
| tsayp586.prg | Gibbs sampling (multivariate SV) |
| tsayp591.prg | Gibbs sampling (Markov switching GARCH) |